Hwang, S. Y., Basawa, I. V. and Reeves, J. (1994). The asymptotic distributions of residual autocorrelations and related tests of fitfor a class of nonlinear time series models. Vol.4, No.1.

Statistica Sinica 4(1994), 107-125

THE ASYMPTOTIC DISTRIBUTIONS OF RESIDUAL

AUTOCORRELATIONS AND RELATED TESTS OF FIT

FOR A CLASS OF NONLINEAR TIME SERIES MODELS

Sun Young Hwang, I. V. Basawa and J. Reeves

University of Georgia

Abstract: We derive the joint asymptotic distribution of the sample autocorrelation functions of lag i, i=1,...,l, based on the residuals {R_t}, t=1,2,...n , obtained after fitting a nonlinear time series model. Tests of fit based on the residuals and on the autocorrelations of residuals are also presented. Some simulation results are reported.

Key words and phrases: Nonlinear time series, diagnostic testing, residual autocorrelations, asymptotic distributions, conditional least squares.